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I was wondering if anyone knows a bit about financial probability theory. I was wondering when you are pricing options, you take the expectation under Q (a martingale measure). In the case of Black and Scholes, this seems simple as it is unique. When the martingale measure is not unique (in the case of Levy processes for example), does it matter which measure you choose to take E under? If so which one do you choose when you wish to price options?

Thanks in advance

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# Risk Neutral Martingales

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